公司治理為近年公司經營與管理之重要議題,而資訊透明度為其中重要之因子之一,有鑒於此,中華民國證券暨期貨市場發展基金會自民國九十二年起執行公司資訊揭露評鑑制度,自民國九十三年起公布第一屆評鑑結果迄今已發展到第八屆,但評鑑結果之資訊是否可為投資人作投資決策時之參考,尚待商榷。 本研究採用事件研究法,以2008年美國雷曼兄弟破產宣告日為基準日,用個股股價變動與大盤指數變動之關聯性,來探討台灣上市櫃公司依現行評鑑制度分級下的個股,當系統風險發生時其股價變動與大盤指數(台灣證券市場加權股價指數)變動之關聯性,以期為投資人作投資決策時之參考。 研究內容分為兩部份,第一部份以第六屆公司治理評鑑結果分級為A+之37家公司為樣本,結果發現其個股股價之變動對應於大盤指數之變動並未顯現相對之穩定。第二部份再以分級為A+級之37家公司、A級之325家公司、B級之639家公司、C級之105家公司、C-級之12家公司為樣本,來分析各級別中之個別公司股價之變動與大盤指數變動之關聯性,結果發現分級為A+之公司相對於其他各分級之公司在股價之變動上並無顯著之穩定性。
Corporate Governance has been an important issue for company operation and management in recent years in Taiwan. Information disclosure and transparency is one of the crucial factors. Taiwan Securities & Futures Information Center has implemented the ranking system of corporate information disclosure and transparency since 2003, and has issued 8 annual evaluation reports up to 2010. However, these reports are not yet able to convince many investors in their investment decisions. This research is conducted by with event study method. Based on the day when Lehman Brothers claimed its bankruptcy, the changes between the individual stock prices classified from A+ through C- under the current ranking system and the TAIEX (Taiwan Stock Exchange Corporation Weighted Index) were taken as the relevance measurement to discuss how the stock prices has reacted when system risk raised. This analysis is aimed to provide references for investment decision making. There are two findings presented in this research. First, the stock prices changes of the 37 A+ companies were as stable as the change of the TAIEX. Second, the stock price changes of the companies in the level A+ were not significantly more stable than the changes of the companies in the other levels (325 companies in level A, 639 companies in level B, .105 companies in level C, and 12 companies in level C-) .
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